Related papers: Rare-Event Simulation for Many-Server Queues
This paper deals with the state estimation problem in discrete-event systems modeled with nondeterministic finite automata, partially observed via a sensor measuring unit whose measurements (reported observations) may be vitiated by a…
Modern industrial systems are often subject to multiple failure modes, and their conditions are monitored by multiple sensors, generating multiple time-series signals. Additionally, time-to-failure data are commonly available. Accurately…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture…
We present an approach for verifying systems at runtime. Our approach targets distributed systems whose components communicate with monitors over unreliable channels, where messages can be delayed, reordered, or even lost. Furthermore, our…
We consider a multi-stage stochastic optimization problem originally introduced by Cygan et al. (2013), studying how a single server should prioritize stochastically departing customers. In this setting, our objective is to determine an…
Randomized load balancing networks arise in a variety of applications, and allow for efficient sharing of resources, while being relatively easy to implement. We consider a network of parallel queues in which incoming jobs with independent…
This paper considers a network of infinite-server queues with the special feature that, triggered by specific events, the network population vector may undergo a linear transformation (a `multiplicative transition'). For this model we…
This paper studies the effect of an overdispersed arrival process on the performance of an infinite-server system. In our setup, a random environment is modeled by drawing an arrival rate $\Lambda$ from a given distribution every $\Delta$…
Estimating the probability of rare channel conditions is a central challenge in ultra-reliable wireless communication, where random events, such as deep fades, can cause sudden variations in the channel quality. This paper proposes a…
In networked systems, state estimation is hampered by communication limits. Past approaches, which consider scheduling sensors through deterministic event-triggers, reduce communication and maintain estimation quality. However, these…
In this paper we study rare events associated to solutions of elliptic partial differential equations with spatially varying random coefficients. The random coefficients follow the lognormal distribution, which is determined by a Gaussian…
This paper introduces and analyzes the notion of throughput suboptimality for many-server queueing systems in heavy traffic. The queueing model under consideration has multiple customer classes, indexed by a finite set $\mathcal{I}$, and…
In many situations, simulation models are developed to handle complex real-world business optimisation problems. For example, a discrete-event simulation model is used to simulate the trailer management process in a big Fast-Moving Consumer…
Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sampling algorithms in the context of queueing networks. The…
The problem of devising learning strategies for discrete losses (e.g., multilabeling, ranking) is currently addressed with methods and theoretical analyses ad-hoc for each loss. In this paper we study a least-squares framework to…
In this paper, we propose an event-driven Limit Order Book (LOB) model that captures twelve of the most observed LOB events in exchange-based financial markets. To model these events, we propose using the state-of-the-art Neural Hawkes…
The $M/GI/m/n$ queueing system with $m$ homogeneous servers and the finite number $n$ of waiting spaces is studied. Let $\lambda$ be the customers arrival rate, and let $\mu$ be the reciprocal of the expected service time of a customer.…
The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general…
The Quality-and-Efficiency-Driven (QED) regime provides a basis for solving asymptotic dimensioning problems that trade off revenue, costs and service quality. We derive bounds for the optimality gaps that capture the differences between…